1. Markowitz' model of portfolio optimization on the croatian capital market
- Author
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Franjić, Antonija, Prohaska, Zdenko, Olgić Draženović, Bojana, and Maradin, Dario
- Subjects
bonds ,shares ,capital market ,Markowitz ,optimization ,portfolio - Abstract
Ovim diplomskim radom nastoji se prikazati Markowitzev model optimizacije portfelja na hrvatskom tržištu kapitala. U radu je ukratko opisan pojam tržišta kapitala, te dionice i obveznice kao njegovi glavni instrumenti. Dan je povijesni pregled poslovanja Zagrebačke burze, kao centralnog mjesta na kojemu se susreću ponuda i potražnja za vrijednosnicama u Republici Hrvatskoj. Prikazane su osnovne teorijske postavke Markowitzevog modela, kao i najizraženije manjkavosti koje se vežu uz njegovu primjenu. Analiza je provedena na dionicama i obveznicama, za koje su prikupljeni podaci u razdoblju od 01.siječnja 2009. godine do 30.travnja 2017.godine. Temeljem prikupljenih podataka izvršena je optimizacija dioničkog, obvezničkog i mješovitog portfelja., This graduate thesis aims to present Markowitz's portfolio optimization model on the Croatian capital market. The paper briefly describes the concept of the capital market, as well as stocks and bonds as its main instruments. There has been given a historical review of the Zagreb Stock Exchange's business, as the central place where the supply and demand for securities in the Republic of Croatia are met. The basic theoretical assumptions of Markowitz's model are presented, as well as the most significant deficiencies that bind to its application. The analysis was carried out on stocks and bonds, for which data were collected in the period between January 1, 2009 and April 30, 2017. Based on the collected data, the optimization of the stock, bond and mixed portfolio was carried out.
- Published
- 2017